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Investments (Tables)

9 Months Ended

Sep. 30, 2021

Total investments at September 30, 2021 and December 31, 2020 were as follows:


	September 30, 2021						December 31, 2020
In millions	Current		Long-term		Total		Current		Long-term		Total
Debt securities available for sale	$	2,859	$	19,715	$	22,574	$	2,774	$	18,414	$	21,188
Mortgage loans	110		824		934		226		821		1,047
Other investments	46		1,831		1,877		—		1,577		1,577
Total investments	$	3,015	$	22,370	$	25,385	$	3,000	$	20,812	$	23,812

Schedule of Debt Securities Available For Sale

Debt securities available for sale at September 30, 2021 and December 31, 2020 were as follows:


In millions	Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
September 30, 2021
Debt securities:
U.S. government securities	$	2,260	$	81	$	(1)	$	2,340
States, municipalities and political subdivisions	2,939		151		(5)		3,085
U.S. corporate securities	8,898		757		(22)		9,633
Foreign securities	2,736		221		(12)		2,945
Residential mortgage-backed securities	849		19		(5)		863
Commercial mortgage-backed securities	1,160		57		(8)		1,209
Other asset-backed securities	2,447		23		(2)		2,468
Redeemable preferred securities	28		3		—		31
Total debt securities (2)	$	21,317	$	1,312	$	(55)	$	22,574

December 31, 2020
Debt securities:
U.S. government securities	$	2,341	$	128	$	—	$	2,469
States, municipalities and political subdivisions	2,556		172		—		2,728
U.S. corporate securities	7,879		1,023		(8)		8,894
Foreign securities	2,595		324		(1)		2,918
Residential mortgage-backed securities	673		32		—		705
Commercial mortgage-backed securities	962		84		—		1,046
Other asset-backed securities	2,369		36		(2)		2,403
Redeemable preferred securities	21		4		—		25
Total debt securities (2)	$	19,396	$	1,803	$	(11)	$	21,188

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(1)There was no allowance for expected credit losses recorded on available-for-sale debt securities at September 30, 2021 or December 31, 2020.

(2)Investment risks associated with the Company’s experience-rated products generally do not impact the Company’s consolidated operating results. At September 30, 2021, debt securities with a fair value of $882 million, gross unrealized capital gains of $101 million and gross unrealized capital losses of $1 million and at December 31, 2020, debt securities with a fair value of $919 million, gross unrealized capital gains of $135 million and no gross unrealized capital losses were included in total debt securities, but support experience-rated products. Changes in net unrealized capital gains (losses) on these securities are not reflected in accumulated other comprehensive income.

Schedule of Amortized Cost and Fair Value of Debt Securities by Contractual Maturity

The amortized cost and fair value of debt securities at September 30, 2021 are shown below by contractual maturity. Actual maturities may differ from contractual maturities because securities may be restructured, called or prepaid, or the Company intends to sell a security prior to maturity.


In millions	Amortized Cost		Fair Value
Due to mature:
Less than one year	$	1,056	$	1,071
One year through five years	7,123		7,390
After five years through ten years	4,492		4,718
Greater than ten years	4,190		4,855
Residential mortgage-backed securities	849		863
Commercial mortgage-backed securities	1,160		1,209
Other asset-backed securities	2,447		2,468
Total	$	21,317	$	22,574

Schedule of Debt Securities In An Unrealized Capital Loss Position

Summarized below are the debt securities the Company held at September 30, 2021 and December 31, 2020 that were in an unrealized capital loss position, aggregated by the length of time the investments have been in that position:


	Less than 12 months					Greater than 12 months					Total
In millions, except number of securities	Number of Securities	Fair Value		Unrealized Losses		Number of Securities	Fair Value		Unrealized Losses		Number of Securities	Fair Value		Unrealized Losses
September 30, 2021
Debt securities:
U.S. government securities	45	$	204	$	1	2	$	1	$	—	47	$	205	$	1
States, municipalities and political subdivisions	234	464		5		1	4		—		235	468		5
U.S. corporate securities	1,081	1,528		19		43	51		3		1,124	1,579		22
Foreign securities	320	568		11		12	21		1		332	589		12
Residential mortgage-backed securities	122	476		5		9	10		—		131	486		5
Commercial mortgage-backed securities	127	342		6		15	47		2		142	389		8
Other asset-backed securities	312	652		2		18	17		—		330	669		2
Redeemable preferred securities	2	5		—		—	—		—		2	5		—
Total debt securities	2,243	$	4,239	$	49	100	$	151	$	6	2,343	$	4,390	$	55

December 31, 2020
Debt securities:
U.S. government securities	32	$	205	$	—	—	$	—	$	—	32	$	205	$	—
States, municipalities and political subdivisions	49	83		—		—	—		—		49	83		—
U.S. corporate securities	145	155		8		2	—		—		147	155		8
Foreign securities	41	69		1		5	5		—		46	74		1
Residential mortgage-backed securities	23	26		—		3	—		—		26	26		—
Commercial mortgage-backed securities	22	75		—		—	—		—		22	75		—
Other asset-backed securities	156	256		1		49	41		1		205	297		2
Total debt securities	468	$	869	$	10	59	$	46	$	1	527	$	915	$	11

The maturity dates for debt securities in an unrealized capital loss position at September 30, 2021 were as follows:


	Supporting experience-rated products				Supporting remaining products				Total
In millions	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Due to mature:
Less than one year	$	—	$	—	$	22	$	—	$	22	$	—
One year through five years	6		—		1,264		11		1,270		11
After five years through ten years	29		1		920		16		949		17
Greater than ten years	19		—		586		12		605		12
Residential mortgage-backed securities	—		—		486		5		486		5
Commercial mortgage-backed securities	6		—		383		8		389		8
Other asset-backed securities	—		—		669		2		669		2
Total	$	60	$	1	$	4,330	$	54	$	4,390	$	55

Schedule of Activity in Mortgage Loan Portfolio

During the three and nine months ended September 30, 2021 and 2020, the Company had the following activity in its mortgage loan portfolio:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2021		2020		2021		2020
New mortgage loans	$	53	$	31	$	173	$	55
Mortgage loans fully repaid	88		37		260		114
Mortgage loans foreclosed	—		—		—		—

Schedule of Mortgage Loan Amortized Cost and Credit Quality Indicator

Based on the Company’s assessments at September 30, 2021 and December 31, 2020, the amortized cost basis of the Company's mortgage loans within each credit quality indicator by year of origination was as follows:


	Amortized Cost Basis by Year of Origination
In millions, except credit quality indicator	2021		2020		2019		2018		2017		Prior		Total
September 30, 2021
1	$	—	$	—	$	—	$	—	$	22	$	29	$	51
2 to 4	171		44		64		73		75		443		870
5 and 6	—		—		—		3		4		6		13
7	—		—		—		—		—		—		—
Total	$	171	$	44	$	64	$	76	$	101	$	478	$	934

December 31, 2020
1			$	—	$	—	$	—	$	22	$	37	$	59
2 to 4			46		96		91		124		595		952
5 and 6			—		—		3		4		29		36
7			—		—		—		—		—		—
Total			$	46	$	96	$	94	$	150	$	661	$	1,047

Schedule of Net Investment Income

Sources of net investment income for the three and nine months ended September 30, 2021 and 2020 were as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2021		2020		2021		2020
Debt securities	$	157	$	151	$	474	$	441
Mortgage loans	13		15		41		45
Other investments	109		37		307		64
Gross investment income	279		203		822		550
Investment expenses	(11)		(8)		(28)		(25)
Net investment income (excluding net realized capital gains or losses)	268		195		794		525
Net realized capital gains (losses) (1)	(22)		9		38		25
Net investment income (2)	$	246	$	204	$	832	$	550

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(1)Net realized capital losses include yield-related impairment losses on debt securities of $3 million in the three months ended September 30, 2021. Net realized capital gains are net of yield-related impairment losses on debt securities of $35 million in the nine months ended September 30, 2021. There were no credit-related losses on debt securities in the three and nine months ended September 30, 2021. Net realized capital gains are net of credit-related and yield-related impairment losses on debt securities of $1 million and $2 million, respectively, in the three months ended September 30, 2020. Net realized capital gains are net of credit-related and yield-related impairment losses on debt securities of $4 million and $44 million, respectively, in the nine months ended September 30, 2020.

(2)Net investment income includes $9 million and $28 million for the three and nine months ended September 30, 2021, respectively, and $10 million and $31 million for the three and nine months ended September 30, 2020, respectively, related to investments supporting experience-rated products.

Schedule of Proceeds and Related Gross Realized Capital Gains and Losses From the Sale of Debt Securities

Excluding amounts related to experience-rated products, proceeds from the sale of available-for-sale debt securities and the related gross realized capital gains and losses for the three and nine months ended September 30, 2021 and 2020 were as follows:


	Three Months Ended September 30,				Nine Months Ended September 30,
In millions	2021		2020		2021		2020
Proceeds from sales	$	668	$	905	$	2,935	$	2,324
Gross realized capital gains	19		17		61		60
Gross realized capital losses	2		3		12		59